Monthly and Calendar year Return table

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Description

Returns a table of returns formatted with years in rows, months in columns, and a total column in the last column. For additional columns in R, annual returns will be appended as columns.

Usage

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table.CalendarReturns(R, digits = 1, as.perc = TRUE, geometric = TRUE)

Arguments

R

an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns

digits

number of digits to round results to for presentation

as.perc

TRUE/FALSE if TRUE, multiply simple returns by 100 to get %

geometric

utilize geometric chaining (TRUE) or simple/arithmetic chaining (FALSE) to aggregate returns, default TRUE

Note

This function assumes monthly returns and does not currently have handling for other scales.

This function defaults to the first column as the monthly returns to be formatted.

Author(s)

Peter Carl

Examples

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data(managers)
t(table.CalendarReturns(managers[,c(1,7,8)]))

# prettify with format.df in hmisc package
require("Hmisc")
result = t(table.CalendarReturns(managers[,c(1,8)]))

textplot(format.df(result, na.blank=TRUE, numeric.dollar=FALSE, 
         cdec=rep(1,dim(result)[2])), rmar = 0.8, cmar = 1,  
         max.cex=.9, halign = "center", valign = "top", 
         row.valign="center", wrap.rownames=20, wrap.colnames=10, 
         col.rownames=c( rep("darkgray",12), "black", "blue"), 
         mar = c(0,0,3,0)+0.1)
         
title(main="Calendar Returns")

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